Genetic network programming with changing structures for a novel stock selection model

Victor Parque, Shingo Mabu, Kotaro Hirasawa

Research output: Chapter in Book/Report/Conference proceedingConference contribution

5 Citations (Scopus)

Abstract

Stock selection involves the continuous quest for the margin of safety, or a favorable difference between the stock price and its intrinsic value. Although this variable might not be quantified with exact precision, it may be approximated through the underlying relationships in financial markets and the real economy. We propose Genetic Network Programming with changing structures(GNP-cs), a novel evolutionary based algorithm to approximate these relationships through graph networks, and build asset selection models to identify the prospective stocks in the context of changing environments. GNP-cs uses functionally distributed systems to monitor the change of the economic environment and execute the strategy for stock selection adaptively. The comparison shows that the proposed scheme outperforms the standard stock selection styles using the stocks listed in the Russell 3000 Index. This paper suggests that the use of evolutionary computing techniques is an excellent tool to tackle the stock selection problem, whose advantages imply the usefulness to manage the risk and safeguard investments.

Original languageEnglish
Title of host publicationGenetic and Evolutionary Computation Conference, GECCO'11 - Companion Publication
Pages239-240
Number of pages2
DOIs
Publication statusPublished - 2011 Aug 26
Event13th Annual Genetic and Evolutionary Computation Conference, GECCO'11 - Dublin, Ireland
Duration: 2011 Jul 122011 Jul 16

Publication series

NameGenetic and Evolutionary Computation Conference, GECCO'11 - Companion Publication

Other

Other13th Annual Genetic and Evolutionary Computation Conference, GECCO'11
CountryIreland
CityDublin
Period11/7/1211/7/16

Keywords

  • adaptive stock selection
  • genetic programming
  • portfolio selection
  • risk management
  • stock markets

ASJC Scopus subject areas

  • Computational Theory and Mathematics
  • Theoretical Computer Science

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  • Cite this

    Parque, V., Mabu, S., & Hirasawa, K. (2011). Genetic network programming with changing structures for a novel stock selection model. In Genetic and Evolutionary Computation Conference, GECCO'11 - Companion Publication (pp. 239-240). (Genetic and Evolutionary Computation Conference, GECCO'11 - Companion Publication). https://doi.org/10.1145/2001858.2001992